John H. Cochrane : Citation Profile


Are you John H. Cochrane?

Stanford University (82% share)
National Bureau of Economic Research (NBER) (9% share)
Stanford University (2% share)
Cato Institute (3% share)

37

H index

54

i10 index

11276

Citations

RESEARCH PRODUCTION:

51

Articles

69

Papers

1

Books

8

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   34 years (1988 - 2022). See details.
   Cites by year: 331
   Journals where John H. Cochrane has often published
   Relations with other researchers
   Recent citing documents: 573.    Total self citations: 52 (0.46 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pco57
   Updated: 2023-11-04    RAS profile: 2021-08-27    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with John H. Cochrane.

Is cited by:

Zhang, Lu (66)

Lettau, Martin (64)

Bekaert, Geert (61)

Lustig, Hanno (50)

Van Nieuwerburgh, Stijn (48)

Wachter, Jessica (47)

Swanson, Eric (44)

Schrimpf, Andreas (44)

Nagel, Stefan (43)

Campbell, John (43)

Leeper, Eric (40)

Cites to:

Campbell, John (87)

Shiller, Robert (42)

Fama, Eugene (33)

Hansen, Lars (32)

French, Kenneth (32)

Woodford, Michael (29)

Lucas, Robert (24)

Piazzesi, Monika (24)

Sargent, Thomas (20)

Eichenbaum, Martin (18)

Christiano, Lawrence (17)

Main data


Where John H. Cochrane has published?


Journals with more than one article published# docs
Journal of Political Economy9
Journal of Monetary Economics5
Journal of Finance4
Journal of Economic Dynamics and Control3
American Economic Review3
Review of Financial Studies3
Economic Perspectives3
Review of Economic Dynamics2
Foundations and Trends(R) in Finance2
European Economic Review2
Review2
Journal of Applied Corporate Finance2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc49
University of California at Los Angeles, Anderson Graduate School of Management / Anderson Graduate School of Management, UCLA3
Economics Working Papers / Hoover Institution, Stanford University2
Scholarly Articles / Harvard University Department of Economics2

Recent works citing John H. Cochrane (2023 and 2022)


YearTitle of citing document
2022A Tutorial on the Generalized Method of Moments (GMM) in Finance. (2022). Astorino, Paula ; de Genaro, Alan. In: RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration). RePEc:abg:anprac:v:26:y:2022:i:sup2022:1527.

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2022Asset Price Booms and Macroeconomic Policy: A Risk-Shifting Approach. (2022). Gale, Douglas ; Barlevy, Gadi ; Allen, Franklin. In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:14:y:2022:i:2:p:243-80.

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2022Overreaction and Diagnostic Expectations in Macroeconomics. (2022). Shleifer, Andrei ; Gennaioli, Nicola ; Bordalo, Pedro. In: Journal of Economic Perspectives. RePEc:aea:jecper:v:36:y:2022:i:3:p:223-44.

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2023Expectations, self-fulfilling prophecies and the business cycle. (2023). Venditti, Alain ; Nishimura, Kazuo ; Dufourt, Frédéric. In: AMSE Working Papers. RePEc:aim:wpaimx:2234.

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2022The risk premium in New Keynesian DSGE models: the cost of inflation channel. (2022). Wouters, Rafael ; Tretiakov, Pavel ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022008.

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2022Is There a Stable Relationship between Unemployment and Future Inflation?. (2022). Kulish, Mariano ; Jones, Callum ; Nicolini, Juan Pablo ; Fitzgerald, Terry. In: Working Papers. RePEc:aoz:wpaper:159.

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2023Simulations in Models with Heterogeneous Agents, Incomplete Markets and Aggregate Uncertainty. (2023). Pierri, Damian. In: Working Papers. RePEc:aoz:wpaper:259.

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2023Consumption smoothing in the working-class households of interwar Japan. (2019). Ogasawara, Kota. In: Papers. RePEc:arx:papers:1807.05737.

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2022Robustness of Delta hedging in a jump-diffusion model. (2019). Stadje, Mitja ; Bosserhoff, Frank. In: Papers. RePEc:arx:papers:1910.08946.

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2022High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing. (2019). Chen, Mingli ; Madrid, Oscar Hernan ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1912.02151.

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2022A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312.

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2022Permutation-based tests for discontinuities in event studies. (2020). Li, Jia ; Bugni, Federico A. In: Papers. RePEc:arx:papers:2007.09837.

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2022Market-consistent pricing with acceptable risk. (2020). Munari, Cosimo ; Arduca, Maria. In: Papers. RePEc:arx:papers:2012.08351.

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2023A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

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2022Feasible Weighted Projected Principal Component Analysis for Factor Models with an Application to Bond Risk Premia. (2021). Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2108.10250.

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2022Deep Signature FBSDE Algorithm. (2021). Zhang, Zhaoyu ; Luo, Man ; Feng, QI. In: Papers. RePEc:arx:papers:2108.10504.

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2022Solution to the Equity Premium Puzzle Using the Sufficiency Factor of the Model. (2021). Aras, Atilla. In: Papers. RePEc:arx:papers:2110.14405.

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2022Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2112.05308.

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2023Semiparametric Conditional Factor Models: Estimation and Inference. (2021). Wang, Xiaoliang ; Roussanov, Nikolai ; Chen, Qihui. In: Papers. RePEc:arx:papers:2112.07121.

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2022Sensitivity to large losses and $\rho$-arbitrage for convex risk measures. (2022). Herdegen, Martin ; Khan, Nazem. In: Papers. RePEc:arx:papers:2202.07610.

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2022Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2023Do t-Statistic Hurdles Need to be Raised. (2022). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2204.10275.

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2023Estimation and Inference for High Dimensional Factor Model with Regime Switching. (2022). Wang, FA ; Urga, Giovanni. In: Papers. RePEc:arx:papers:2205.12126.

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2022A mean field game approach to equilibrium consumption under external habit formation. (2022). Yu, Xiang ; Wang, Shihua ; Bo, Lijun. In: Papers. RePEc:arx:papers:2206.13341.

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2022Misspecification and Weak Identification in Asset Pricing. (2022). Zhan, Zhaoguo ; Kleibergen, Frank. In: Papers. RePEc:arx:papers:2206.13600.

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2022A penalized two-pass regression to predict stock returns with time-varying risk premia. (2022). Scaillet, Olivier ; Guerrier, St'Ephane ; Bakalli, Gaetan. In: Papers. RePEc:arx:papers:2208.00972.

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2022Estimation of growth in fund models. (2022). Ruf, Johannes ; Koo, Hyeng Keun ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:2208.02573.

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2023Beta-Sorted Portfolios. (2022). Wang, Weining ; Crump, Richard K ; Cattaneo, Matias D. In: Papers. RePEc:arx:papers:2208.10974.

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2022A Unified Framework for Estimation of High-dimensional Conditional Factor Models. (2022). Chen, Qihui. In: Papers. RePEc:arx:papers:2209.00391.

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2022TechRank. (2022). Mermoud, Alain ; Maillart, Thomas ; Tsesmelis, Michael ; Gillard, S'Ebastien ; Lacube, William ; David, Dimitri Percia ; Mar, Loic ; Mezzetti, Anita. In: Papers. RePEc:arx:papers:2210.07824.

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2022Relative growth rate optimization under behavioral criterion. (2022). Xu, Zuo Quan ; Wei, Pengyu ; Peng, Jing. In: Papers. RePEc:arx:papers:2211.05402.

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2022Dynamic spending and portfolio decisions with a soft social norm. (2022). Bjerketvedt, Vegard Skonseng ; Tronnes, Haakon Andreas ; Harang, Fabian Andsem ; Mork, Knut Anton. In: Papers. RePEc:arx:papers:2212.10053.

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2023Inflation targeting strategy and its credibility. (2023). Posada, Carlos Esteban. In: Papers. RePEc:arx:papers:2301.11207.

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2023Inference in Non-stationary High-Dimensional VARs. (2023). Smeekes, Stephan ; Margaritella, Luca. In: Papers. RePEc:arx:papers:2302.01434.

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2023The Elasticity of Quantitative Investment. (2023). Davis, Carter. In: Papers. RePEc:arx:papers:2303.14533.

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2023Portfolio Optimization Rules beyond the Mean-Variance Approach. (2023). Markov, Vladimir. In: Papers. RePEc:arx:papers:2305.08530.

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2023The Dynamic Persistence of Economic Shocks. (2023). Vacha, Lukas ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2306.01511.

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2023Consumption Partial Insurance in the Presence of Tail Income Risk. (2023). Theloudis, Alexandros ; Ghosh, Anisha. In: Papers. RePEc:arx:papers:2306.13208.

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2023New general dependence measures: construction, estimation and application to high-frequency stock returns. (2023). Leeuwenkamp, Aleksy ; Hu, Wentao. In: Papers. RePEc:arx:papers:2309.00025.

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2023Kernel-Based Stochastic Learning of Large-Scale Semiparametric Monotone Index Models with an Application to Aging and Household Risk Preference. (2023). Yao, Qingsong. In: Papers. RePEc:arx:papers:2309.06693.

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2022International Risk Sharing for Food Staples. (2022). Bradford, Scott ; Ramaswami, Bharat ; Negi, Digvijay Singh . In: Working Papers. RePEc:ash:wpaper:74.

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2023Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203.

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2022Effects of Cross Country Fiscal Interdependence on Multipliers within a Monetary Union.. (2022). Vanessa, Kunzmann. In: Working Papers. RePEc:bav:wpaper:216_kunzmann.

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2023The 2021–22 Surge in Inflation. (2023). Uzeda, Luis ; MacGee, James (Jim) ; Kryvtsov, Oleksiy. In: Discussion Papers. RePEc:bca:bocadp:23-3.

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2022Financial Intermediaries and the Macroeconomy: Evidence from a High-Frequency Identification. (2022). Ottonello, Pablo ; Song, Wenting. In: Staff Working Papers. RePEc:bca:bocawp:22-24.

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2022House Price Responses to Monetary Policy Surprises: Evidence from the U.S. Listings Data. (2022). Kudlyak, Marianna ; Kryvtsov, Oleksiy ; Gorea, Denis. In: Staff Working Papers. RePEc:bca:bocawp:22-39.

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2022Windfall Income Shocks with Finite Planning Horizons. (2022). Boutros, Michael. In: Staff Working Papers. RePEc:bca:bocawp:22-40.

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2022The role of central bank communication in inflation-targeting Eastern European emerging economies. (2022). Coco, Alberto ; Ciarlone, Alessio ; Astuti, Valerio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1381_22.

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2022Real-time ineuqalities and policies during the pandemic in the US. (2022). Giglioli, Simona ; Fantozzi, Daniela ; Corrado, Luisa. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1396_22.

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2023Estimating the Output Gap After COVID: How to Address Unprecedented Macroeconomic Variations. (2023). Parra-Amado, Daniel ; Granados, Camilo. In: Borradores de Economia. RePEc:bdr:borrec:1249.

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2022The Conditional Path of Central Bank Asset Purchases. (2022). Hubert, Paul ; Creel, Jerome ; Bozou, Caroline ; Blot, Christophe. In: Working papers. RePEc:bfr:banfra:885.

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2022Q-Monetary Transmission. (2022). Lagos, Ricardo ; Jeenas, Priit. In: Working Papers. RePEc:bge:wpaper:1348.

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2023Asymmetric Monetary Policy Tradeoffs. (2023). Sala, Luca ; Gambetti, Luca ; Forni, Mario ; Debortoli, Davide. In: Working Papers. RePEc:bge:wpaper:1404.

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2022Monetary policy expectation errors. (2022). Schrimpf, Andreas ; Schmeling, Maik. In: BIS Working Papers. RePEc:bis:biswps:996.

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2022Interpolation and Shock Persistence of Prewar U.S. Macroeconomic Time Series: A Reconsideration. (2022). Levy, Daniel ; Dezhbakhsh, Hashem. In: Working Papers. RePEc:biu:wpaper:2022-02.

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2023Timing the factor zoo via deep learning: Evidence from China. (2023). Jiang, Fuwei ; Liao, Cunfei ; Ma, Tian. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:1:p:485-505.

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2022Stock return predictability: Evaluation based on interval forecasts. (2022). Kim, Jae H ; Darne, Olivier ; Charles, Amelie. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:363-385.

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2022Firm?specific forecast errors and asymmetric investment propensity. (2022). Tonzer, Lena ; Berner, Julian ; Buchholz, Manuel. In: Economic Inquiry. RePEc:bla:ecinqu:v:60:y:2022:i:2:p:764-793.

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2023Exponential growth bias in the prediction of COVID?19 spread and economic expectation. (2023). Banerjee, Ritwik ; Majumdar, Priyama. In: Economica. RePEc:bla:econom:v:90:y:2023:i:358:p:653-689.

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2022How much for a haircut? Illiquidity, secondary markets, and the value of private equity. (2022). Sensoy, Berk A. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:2:p:501-538.

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2022Stock returns and inflation shocks in weaker economic times. (2022). Sun, Licheng ; Stivers, Chris ; Connolly, Robert A. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:3:p:827-867.

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2023Macroeconomic fundamentals and cryptocurrency prices: A common trend approach. (2023). Rodriguez, Ivan ; Zhang, Qianying ; Jiang, Xiaoquan. In: Financial Management. RePEc:bla:finmgt:v:52:y:2023:i:1:p:181-198.

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2023Asset pricing with a financial sector. (2023). Xu, Chenjie ; Li, Kai. In: Financial Management. RePEc:bla:finmgt:v:52:y:2023:i:1:p:67-95.

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2022Shrinking return forecasts. (2022). Wang, Yudong ; Pan, Zhiyuan ; Liu, LI. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:641-661.

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2023Anticipation in leisure—Effects on labor?leisure choice. (2023). Monteiro, Goncalo ; Escobarposada, Rolando ; Chatterjee, Bibaswan. In: International Journal of Economic Theory. RePEc:bla:ijethy:v:19:y:2023:i:2:p:384-412.

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2022Can technical indicators predict the Chinese equity risk premium?. (2022). Glabadanidis, Paskalis ; Sun, Mingwei. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:1:p:114-142.

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2023Average skewness in global equity markets. (2023). Kirli, Imra ; Gunaydin, Doruk A ; Demirtas, Ozgur K ; Atilgan, Yigit. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:245-271.

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2022Organization capital effect in stock returns—The role of R&D. (2022). Lin, Chubin ; Chan, Konan ; Wang, Yanzhi. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:49:y:2022:i:7-8:p:1237-1263.

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2022Stock Market and No?Dividend Stocks. (2022). Basak, Suleyman ; Atmaz, Adem. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:1:p:545-599.

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2022Skill, Scale, and Value Creation in the Mutual Fund Industry. (2022). Scaillet, Olivier ; Gagliardini, Patrick ; Barras, Laurent. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:1:p:601-638.

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2022Volatility Expectations and Returns. (2022). Muir, Tyler ; Lochstoer, Lars A. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:1055-1096.

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2022Late to Recessions: Stocks and the Business Cycle. (2022). Gomezcram, Roberto. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:923-966.

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2022Long?Run Risk: Is It There?. (2022). Matthies, Ben ; Liu, Yukun. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:3:p:1587-1633.

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2022Factor Momentum and the Momentum Factor. (2022). Linnainmaa, Juhani T ; Ehsani, Sina. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:3:p:1877-1919.

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2022Presidential Address: Corporate Finance and Reality. (2022). Graham, John R. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:4:p:1975-2049.

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2022A New Test of Risk Factor Relevance. (2022). Sussman, Abigail B ; Hartzmark, Samuel M ; Chinco, Alex. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:4:p:2183-2238.

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2022Risk?Sharing and the Term Structure of Interest Rates. (2022). Schneider, Andres. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:4:p:2331-2374.

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2022The Price of Higher Order Catastrophe Insurance: The Case of VIX Options. (2022). Yang, Aoxiang ; Eraker, Bjorn. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:6:p:3289-3337.

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2023How Risky Are U.S. Corporate Assets?. (2023). Yaron, Amir ; Shaliastovich, Ivan ; Richard, Scott ; Davydiuk, Tetiana. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:141-208.

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2023International Yield Curves and Currency Puzzles. (2023). Creal, Drew ; Chernov, Mikhail. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:209-245.

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2023Beliefs Aggregation and Return Predictability. (2023). Wang, Yajun ; Obizhaeva, Anna A ; Kyle, Albert S. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:427-486.

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2023Optimal Financial Transaction Taxes. (2023). Davila, Eduardo. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:5-61.

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2023Pockets of Predictability. (2023). Timmermann, Allan ; Schmidt, Lawrence ; Farmer, Leland E. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1279-1341.

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2023Macroeconomic News in Asset Pricing and Reality. (2023). Duffee, Gregory R. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1499-1543.

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2023Integrating Factor Models. (2023). Voigt, Stefan ; Metzker, Lior ; Cheng, SI ; Avramov, Doron. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1593-1646.

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2023Visibility Bias in the Transmission of Consumption Beliefs and Undersaving. (2023). Hirshleifer, David ; Walden, Johan ; Han, Bing. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1647-1704.

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2022Portfolio returns and consumption growth covariation in the frequency domain, real economic activity, and expected returns. (2022). Piccotti, Louis R. In: Journal of Financial Research. RePEc:bla:jfnres:v:45:y:2022:i:3:p:513-549.

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2023Sentiment or habits: Why not both?. (2023). Tham, Eric. In: Journal of Financial Research. RePEc:bla:jfnres:v:46:y:2023:i:1:p:203-215.

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2022Currency returns and systematic risk. (2022). Scatimburgo, Pedro ; Ferreira, Alex ; Gonalves, Fernanda. In: Manchester School. RePEc:bla:manchs:v:90:y:2022:i:6:p:609-647.

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2022Foreclosure spillovers and individual well?being: Evidence from the Great Recession. (2022). Makridis, Christos ; Ohlrogge, Michael . In: Real Estate Economics. RePEc:bla:reesec:v:50:y:2022:i:1:p:122-146.

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2022General Doubly Robust Identification and Estimation. (2019). Lewbel, Arthur ; Choi, Jin-Young ; Zhou, Zhuzhu. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:1003.

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2022Consumption Response Heterogeneity and Dynamics with an Inattention Region. (2022). Boccanfuso, Jeremy. In: Working Papers. RePEc:bol:bodewp:wp1172.

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2022.

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2022Bayesian multivariate Beveridge–Nelson decomposition of I(1) and I(2) series with cointegration. (2022). Yasutomo, MURASAWA . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:26:y:2022:i:3:p:387-415:n:4.

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2023Controlling chaos in New Keynesian macroeconomics. (2023). Ghosh, Taniya ; Barnett, William ; Paolo, Mattana ; Giovanni, Bella ; Taniya, Ghosh ; Beatrice, Venturi. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:219-236:n:3.

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2022MODELING THE DYNAMIC EQUILIBRIUM UNDER THE POLICY OF ADJUSTING THE INTEREST RATE AND TAYLORS RULE OF NATIONAL BANK OF MOLDOVA (NBM). (2022). Vîntu, Denis. In: Management Strategies Journal. RePEc:brc:journl:v:55:y:2022:i:1:p:171-194.

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2022The Risk-Premium Channel of Uncertainty: Implications for Unemployment and Inflation. (2022). Rendahl, P ; Lee, H ; Freund, L B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2251.

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More than 100 citations found, this list is not complete...

John H. Cochrane has edited the books:


YearTitleTypeCited

Works by John H. Cochrane:


YearTitleTypeCited
1989The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives. In: American Economic Review.
[Full Text][Citation analysis]
article130
1988The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives.(1988) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 130
paper
2002The Fed and Interest Rates - A High-Frequency Identification In: American Economic Review.
[Full Text][Citation analysis]
article307
2002The Fed and Interest Rates: A High-Frequency Identification.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
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